Probability Analysis: Tools for SPY Options Trading
Hover over any point on the chart to see the probability of expiring above that strike price!
Expected Move Formula
\( EM = S \times \sigma \times std \times \sqrt{\tfrac{DTE}{365}} \)
- Volatility σ: VIX as the proxy value for SPY options pricing.
- Probability Analysis: The probability of expiring above one strike price on a certain day is measured by option deltas.
SPY Expected Move
| Expiration | Oct 06 (3D) | Oct 07 (4D) | Oct 08 (5D) | Oct 09 (6D) | Oct 10 (7D) | Oct 13 (10D) | Oct 14 (11D) | Oct 15 (12D) | Oct 16 (13D) | Oct 17 (14D) | Oct 24 (21D) | Oct 31 (28D) | Nov 07 (35D) | Nov 14 (42D) | Nov 21 (49D) | Nov 28 (56D) | Dec 05 (63D) | Dec 12 (70D) | Dec 19 (77D) | Dec 26 (84D) |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| lower | 659.652 | 658.065 | 656.667 | 655.403 | 654.241 | 651.182 | 650.268 | 649.394 | 648.556 | 647.75 | 642.77 | 638.571 | 634.872 | 631.528 | 628.453 | 625.591 | 622.902 | 620.359 | 617.941 | 615.63 |
| upper | 680.168 | 681.755 | 683.153 | 684.417 | 685.579 | 688.638 | 689.552 | 690.426 | 691.264 | 692.07 | 697.05 | 701.249 | 704.948 | 708.292 | 711.367 | 714.229 | 716.918 | 719.461 | 721.879 | 724.19 |
| expected move | 10.258 | 11.845 | 13.243 | 14.507 | 15.669 | 18.728 | 19.642 | 20.516 | 21.354 | 22.16 | 27.14 | 31.339 | 35.038 | 38.382 | 41.457 | 44.319 | 47.008 | 49.551 | 51.969 | 54.28 |
Nianguang Zhao '25G, Master's in Financial Engineering at Lehigh University | Aspiring Quant | Cleared CFA Level 1
